Jim, have you looked at the turbo vanes and the intake manifold? If you don't have a coating of oil on everything in the intake inboard of the CDR valve, you'll be the first that I've ever heard of! While this doesn't automatically lead to oil consumption, that can eventually be a result.
Also, on n/a engines, it is contended that the oil coming from the CDR valve tends to go more to the rear cylinders than to the front, making those cylinders run hotter and possibly being a cause of the head gasket problems seen especially on earlier engines.
One other thing...if you have an intercooler and a CDR, you end up with an oil coating on the inside of the intercooler, which IIRC reduces its effectiveness, and if you have a LOT of blowby, you can have oil puddles collect in there.
Those are the reasons to not keep a CDR on that I can remember off the top of my head; I think there are others as well...
I will say this, though; a CDR is better than an EGR valve like M-B diesels have! An EGR on a diesel can lead to enough crud in the intake to have a serious detriment to engine performance...